Information Ratio

Definition

Le Information Ratio (IR) est une variante du Sharpe Ratio qui utilise les rendements du benchmark à la place du taux sans risque.

Formula

$\text{Information Ratio} = \frac{R_p - R_b}{\sigma_{\text{tracking error}}}$

where $R_p$ is the portfolio return, $R_b$ is the benchmark return, and $\sigma_{\text{{tracking error}}}$ is the standard deviation of the tracking error.